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The size anomaly on the Taiwan Stock Exchange

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  • Yen-Sheng Huang

Abstract

This paper examines the size anomaly on the Taiwan Stock Exchange over the period 1971-93. Using a sample of all listed stocks, this research finds that the smallest size quintile earns a significantly higher abnormal return than other four size portfolios over the whole sample period. Moreover, the size anomaly cannot be attributed to the January effect. The smallest size quintile performs better than the average of the other four size quintiles in almost every month.

Suggested Citation

  • Yen-Sheng Huang, 1997. "The size anomaly on the Taiwan Stock Exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 4(1), pages 7-12.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:1:p:7-12
    DOI: 10.1080/758521823
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    References listed on IDEAS

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    1. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    2. Schwert, G. William, 1983. "Size and stock returns, and other empirical regularities," Journal of Financial Economics, Elsevier, vol. 12(1), pages 3-12, June.
    3. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
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    5. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    6. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
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    Cited by:

    1. Yin-Ching Jan & Su-Ling Chiu & Jerry M. C. Wang, 2013. "New Risk Measure and Idiosyncratic Risk in Taiwan Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(2), pages 77-82, April.
    2. Tony Naughton & Madhu Veeraraghavan, 2004. "Are Price Limits Priced? Evidence from the Taiwan Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(3), pages 249-267, December.
    3. Chen, Tsung-Cheng & Chien, Chin-Chen, 2011. "Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 208-229, April.
    4. Fan, Yu-Ju & Lai, Hung-Neng, 2006. "The intraday effect and the extension of trading hours for Taiwanese securities," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 328-347.

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